THE VPRT - A SEQUENTIAL TESTING PROCEDURE DOMINATING THE SPRT

Under more general assumptions than those usually made in the sequenti al analysis literature, a variable-sample-size-sequential probability ratio test (VPRT) of two simple hypotheses is found that maximizes the expected net gain over all sequential decision procedures. In contras t, Wald and Wolfowitz [25] developed the sequential probability ratio test (SPRT) to minimize expected sample size, but their assumptions on the parameters of the decision problem were restrictive. In this arti cle we show that the expected net-gain-maximizing VPRT also minimizes the expected (with respect to both data and prior) total sampling cost and that, under slightly more general conditions than those imposed b y Wald and Wolfowitz, it reduces to the one-observation-at-a-time sequ ential probability ratio test (SPRT). The ways in which the size and p ower of the VPRT depend upon the parameters of the decision problem ar e also examined.